A forward-backward-forward differential equation and its asymptotic properties

نویسندگان

  • Sebastian Banert
  • Radu Ioan Boţ
چکیده

In this paper, we approach the problem of finding the zeros of the sum of a maximally monotone operator and a monotone and Lipschitz continuous one in a real Hilbert space via an implicit forward-backward-forward dynamical system with nonconstant relaxation parameters and stepsizes of the resolvents. Besides proving existence and uniqueness of strong global solutions for the differential equation under consideration, we show weak convergence of the generated trajectories and, under strong monotonicity assumptions, strong convergence with exponential rate. In the particular setting of minimizing the sum of a proper, convex and lower semicontinuous function with a smooth convex one, we provide a rate for the convergence of the objective function along the ergodic trajectory to its minimum value.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Weak Solutions of Forward-Backward SDEs and Their Uniqueness

In this paper we propose a new notion of Forward-Backward Martingale Problem (FBMP), and study its relationship with the weak solution to the backward stochastic differential equations. The FBMP extends the idea of the well-known (forward) martingale problem of Stroock and Varadhan, but it is structured specifically to fit the nature of a forward-backward stochastic differential equation (FBSDE...

متن کامل

Backward-forward linear-quadratic mean-field games with major and minor agents

This paper studies the backward-forward linear-quadratic-Gaussian (LQG) games with major and minor agents (players). The state of major agent follows a linear backward stochastic differential equation (BSDE) and the states of minor agents are governed by linear forward stochastic differential equations (SDEs). The major agent is dominating as its state enters those of minor agents. On the other...

متن کامل

Bernoulli Society Satellite Meeting to the ISI World Statistics Congress 2013 “ Asymptotic Statistics and Related Topics : Theories and Methodologies ”

We consider the problem of approximation of the solution of the backward stochastic differential equation (BSDE) in the Markovian case. These type equations attract attention of specialists in financial mathematics. See, for example, the work El Karoui N., Peng S. and Quenez M. (1997) Backward stochastic differential equations in finance, Math. Finance, 7, 1-71. We suppose that the forward equa...

متن کامل

Discretizing a Backward Stochastic Differential Equation

where (Yt,Zt) are unknown predictable processes. We will assume that f is a Lipschitz function with respect to its arguments throughout this paper. Since this equation has its important applications into control theory and mathematical finance, many mathematicians are not satisfied merely by descriptive existence theorems. They are also interested in constructing the numerical solutions. In ord...

متن کامل

Backward and Forward equations for Diffusion processes

This section is devoted to the discussion of two fundamental (partial) differential equations, that arise in the context of Markov diffusion processes. After giving a brief introduction of continuous-time continuous state Markov processes, we introduce the forward and backward equation, and provide a heuristic derivation of these equations for diffusion processes. We also discuss some examples ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2015